This is a summary of links featured on Quantocracy on Tuesday, 07/05/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Slava Ukraini! Latest from Only VIX, Quantocracy contributor in Ukraine: Nightshares ETFs [Only VIX]An innovative company has launched two ETFs to captures the night effect – the difference between stock market returns during the trading day, and when the market is closed. It is a well-documented effect that most of the market gains come overnight returns, and that day returns are relatively flat. The difference in returns is correlated to some fundamental factors, e.g. beta effect, and I am
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Combining Factors in Multifactor Portfolios [Alpha Architect]Christoph Reschenhofer contributes to the factor-based investment literature with his April 2022 paper, Combining Factors, in which he investigated the performance of multifactor portfolios formed via a combination of stock characteristics scores. He began by noting that while the finance literature has made substantial progress in identifying factors that drive stocks risk and return
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On the origins of some stochastic processes [Quant Dare]Stochastic processes play a key role in modelling the behavior over time of many financial assets. These mathematical descriptions of reality help making investment decisions. They can be used to price stock market options, make Monte Carlo simulations or define probabilities of expected returns, among others. In todays post we will explore the origins of two of the most common stochastic
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Factor Olympics Q2 2022 [Factor Research]Value is the clear winner of YTD 2022 Value, Momentum, and Low Volatility factors were positively correlated, which changed to previous years The Quality factor performed worst, which can be explained by a bias towards tech stocks INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic